Abstract
The dynamics of financial markets are discussed. After a brief introduction of the price formation process, we review the statistical features (also known as “stylized facts”) of stock return time series, which exhibit fat tails and intermittent periods of higher or lower volatility. Several models aimed at understanding the mechanisms that lead to these seemingly ubiquitous features of financial markets are then reviewed. Those models have largely been developed within the Econophysics community but we emphasize here that they all contain elements consistent with a Synergetic approach.
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Borland, L. (2018). Financial Market Models. In: Müller, S., Plath, P., Radons, G., Fuchs, A. (eds) Complexity and Synergetics. Springer, Cham. https://doi.org/10.1007/978-3-319-64334-2_20
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DOI: https://doi.org/10.1007/978-3-319-64334-2_20
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